We study the intra-horizon value at risk (iVaR) in a general jump diffusion setup and propose a new model of asset returns called displaced mixed-exponential model, which can arbitrarily closely approximate finite-activity jump-diffusions and completely monotone Levy processes. We derive...

Risk and return play a central role in financial theory. Return is easily measurable and is a percentage number indicating by how much the value of an investment or asset has changed from the previous period. But how should risk be measured? Over longer holding periods, return generation is...

The severity of extreme weather events is increasing due to climate change, giving rise to physical climate risk. However, physical climate risk is not only driven by the severity of individual hazards, but also by the interdependence of those hazards. This paper establishes bounds for the...